This is a slight misunderstanding.
To put it in simple terms, it is a matter of pressure. Think of kids on a warm winter day, stamping their feet into the slush. The high point of pressure where the feet impact causes the slush to move out of the way, exagerating the footprint. A shaped charge does much the same. It hits with such force that the steel behaves more like a liquid, and the high pressure pushes it aside. Yes, it is an explosion, there is heat, but it is the velocity and pressure that does the work. The heat and hot fragments of metal may cause secondary damage inside, igniting fuel and ammunition, but nothing is "vaporized", expecially the liner. Look at Spotter's recent post on the 3.5-inch for examples of the "slug" which typically follows along at the rear of the jet, often times blocking the penetration hole. This is the remnants of the liner, moving more slowly than the jet.
Penetrators work on a similar principle, but with slightly different effects due to velocity and mass differences.